Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 8 | 8 |
| Score | -5.72 | -2.21 | -1.69 |
| Market Cap (Millions USD) | 1614.7 | 1551.23 | 1828.18 |
| Predicted Beta | 0.25 | 0.25 | 0.26 |
| Idiosyncratic Volatility | 1.03 | 0.96 | 1.1 |
Annualized return and volatility
| EWH | |
|---|---|
| Annualized Return | 0.0549 |
| Annualized Std Dev | 0.2571 |
| Annualized Sharpe (Rf=0%) | 0.2135 |
Row
Daily Return Statistics
| EWH | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1230 |
| Quartile 1 | -0.0070 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0080 |
| Maximum | 0.1699 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | 0.3002 |
| Kurtosis | 8.9661 |
Downside Risk
| EWH | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.6358 |
| Historical VaR (95%) | -0.0253 |
| Historical ES (95%) | -0.0377 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0220 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2008-11-20 | 2013-01-24 | -0.6358 | 1341 | 275 | 1066 |
| 2000-01-04 | 2003-04-25 | 2005-07-14 | -0.5079 | 1413 | 845 | 568 |
| 2015-05-26 | 2016-02-09 | 2017-05-10 | -0.2954 | 502 | 183 | 319 |
| 2018-01-29 | 2018-10-29 | 2019-03-29 | -0.1973 | 299 | 194 | 105 |
| 2019-04-08 | 2019-08-14 | NA | -0.1696 | 186 | 91 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.4 | -1.4 | 0.0 | 1.5 | 4.3 | 0.0 | -1.9 | 0.0 | 0.0 | 0.5 | 4.8 | 0.0 | 9.4 |
| 2001 | 1.0 | -2.5 | 0.0 | 1.0 | 0.1 | 0.0 | 1.3 | 0.0 | -3.7 | 2.0 | 0.0 | 0.0 | -0.9 |
| 2002 | -2.5 | 1.7 | 0.0 | 0.5 | 0.0 | -2.0 | -1.6 | 0.0 | 4.9 | 1.2 | 0.0 | 0.0 | 2.0 |
| 2003 | 0.0 | 0.0 | 0.4 | 0.3 | 0.0 | 1.2 | -0.5 | 0.0 | 3.0 | 0.0 | 2.5 | 0.0 | 7.0 |
| 2004 | 0.0 | 0.3 | 0.4 | 0.0 | -1.6 | -1.0 | 0.0 | 1.2 | 1.6 | -0.6 | 1.8 | 0.0 | 2.0 |
| 2005 | 0.0 | 0.8 | -0.6 | 0.0 | 0.8 | -0.2 | 0.8 | 1.4 | 0.0 | 1.0 | 1.2 | 0.0 | 5.3 |
| 2006 | -0.6 | 1.6 | 0.0 | -0.5 | 0.7 | 0.0 | -0.9 | 1.2 | 0.0 | 0.2 | -1.4 | 0.0 | 0.3 |
| 2007 | 1.9 | -1.5 | 0.0 | 0.4 | -0.1 | 0.0 | -0.7 | 0.0 | 1.9 | -4.1 | 0.0 | 0.0 | -2.3 |
| 2008 | 0.5 | 0.0 | 4.2 | 1.8 | 0.0 | -0.6 | 0.2 | 0.0 | 1.1 | 0.0 | -8.1 | 0.0 | -1.3 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.9 | 2.9 | 0.7 | 0.0 | -1.5 | -2.7 | 0.0 | 2.0 | 0.0 | 4.3 |
| 2010 | 2.6 | 1.1 | 1.7 | 0.0 | -1.5 | 0.2 | 0.0 | 2.3 | 1.0 | 1.7 | 2.9 | 0.0 | 12.5 |
| 2011 | 1.4 | -0.4 | 0.8 | 0.0 | -1.1 | 0.9 | 0.6 | -0.8 | 0.0 | 1.0 | -0.2 | 0.0 | 2.1 |
| 2012 | 0.7 | 0.3 | 0.0 | 0.9 | -1.9 | 0.0 | -0.1 | 0.0 | 0.8 | 2.2 | 0.0 | 0.0 | 2.7 |
| 2013 | 0.2 | 0.0 | -0.9 | -1.1 | 0.0 | -0.3 | 2.0 | 0.0 | 1.0 | 0.9 | 0.0 | 0.0 | 1.8 |
| 2014 | 0.0 | 0.0 | 2.4 | 0.3 | 0.0 | 0.3 | -0.1 | 0.0 | -1.3 | 0.0 | -2.5 | 0.0 | -1.0 |
| 2015 | 0.0 | 0.0 | 1.5 | 1.0 | 0.0 | 0.1 | 0.0 | -2.9 | 0.5 | 0.0 | 1.3 | 0.0 | 1.4 |
| 2016 | -0.8 | 1.9 | -0.7 | 0.0 | -0.3 | 0.8 | -0.2 | 1.2 | 0.0 | 0.4 | -0.9 | 0.0 | 1.3 |
| 2017 | 0.3 | 1.5 | 0.0 | 0.2 | 1.1 | 0.0 | 0.9 | 0.6 | 0.0 | 1.0 | -0.4 | 0.0 | 5.3 |
| 2018 | -0.9 | 0.1 | 0.0 | 0.0 | 0.0 | 0.0 | -1.7 | 0.0 | 0.5 | 2.9 | 0.0 | 0.0 | 0.9 |
| 2019 | -1.3 | 0.2 | 1.7 | -0.4 | 0.0 | 1.0 | -2.6 | 0.0 | -1.3 | 2.2 | 0.0 | 0.1 | -0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
